Asymptotic analysis of options in a jump-diffusion model with binomial jump size distribution

DOI10.1504/IJMMNO.2013.051333zbMath1262.91131OpenAlexW2085449612MaRDI QIDQ1950176

Faouzi Trabelsi, Lamia Benothman

Publication date: 10 May 2013

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmmno.2013.051333

zbMATH Keywords

asymptotic analysiscentral limit theorembinomial distributionAmerican callMerton's modelEuropean calljump diffusion Lévy market modelperpetual call

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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